Exact propagator of the Fokker-Planck equation with a space-dependent diffusion coefficient and a time-dependent mean-reverting force

We have investigated the algebraic structure of the Fokker-Planck equation with a variable diffusion coefficient and a time-dependent mean-reverting force. Such a model could be useful to study the general problem of a Brownian walker with a space-dependent diffusion coefficient. We also show that this model is related to the Fokker-Planck equation with a constant diffusion coefficient and a time-dependent anharmonic potential of the form V(x, t) = ?a(t)x ² + b ln x, which has been widely applied to model different physical and biological phenomena, e.g. the study of neuron models and stochastic resonance in monostable nonlinear oscillators. Using the Lie algebraic approach we have derived the exact diffusion propagators for the Fokker-Planck equations associated with different boundary conditions, namely (i) the case of a single absorbing barrier, and (ii) the case of two absorbing barriers. These exact diffusion propagators enable us to study the time evolution of the corresponding stochastic systems. Received 23 October 2001 and Received in final form 24 December 2001     

Formation of adhesive contacts: Spreading versus dewetting

A soft bead (radius R _b) is pressed with a force F against a hydrophobic glass plate through a water drop (“wet” JKR set-up). We observe with a fast camera the growth of the contact zone bridging the rubber bead to the glass. Depending on the approach velocity V, two regimes are observed : i) at large V a liquid film is squeezed at the interface and dewets by nucleation and growth of a dry contact; ii) at low velocities, the bead remains nearly spherical. As it comes into contact, the rubber bead spreads on the glass with a characteristic time (in the range of one millisecond) τ ≈ ηR _b ²/F, where η is the liquid viscosity. The laws of spreading are interpreted by a balance of global mechanical and viscous forces. Received: 22 December 2002 / Accepted: 24 March 2003 / Published online: 29 April 2003 RID="a" ID="a"e-mail: brochard@curie.fr     

Power, Lévy, exponential and Gaussian-like regimes in autocatalytic financial systems

We study by theoretical analysis and by direct numerical simulation the dynamics of a wide class of asynchronous stochastic systems composed of many autocatalytic degrees of freedom. We describe the generic emergence of truncated power laws in the size distribution of their individual elements. The exponents α of these power laws are time independent and depend only on the way the elements with very small values are treated. These truncated power laws determine the collective time evolution of the system. In particular the global stochastic fluctuations of the system differ from the normal Gaussian noise according to the time and size scales at which these fluctuations are considered. We describe the ranges in which these fluctuations are parameterized respectively by: the Lévy regime α < 2, the power law decay with large exponent ( α > 2), and the exponential decay. Finally we relate these results to the large exponent power laws found in the actual behavior of the stock markets and to the exponential cut-off detected in certain recent measurement. Received 29 July 2000 and Received in final form 25 September 2000     

Phase separation of polymer blends in solution near adsorbing surface

In this paper, we consider a mixture of two polymers A and B of different chemical nature, dissolved in a common good solvent, in contact with an interacting surface. We start from a mixture of two incompatible homopolymers A and B in the molten state, and assume that the surface adsorbs strongly one or both polymer species at high temperature. It is assumed that this is a strong adsorption, so that chains cannot desorb once they are linked to the surface. This constrains the system to a quenched composition on the surface. Once the adsorption process is finished, a quantity of a good solvent is added to get a semi-dilute solution. We assume that demixing transition in the presence of solvent occurs at lower temperature. The purpose is to discuss the influence of the quenched surface fluctuations on the critical properties of the mixture. Within the framework of the so-called blob model, we determine the exact shape of the composition profile as a function of the distance z to the surface, for any value of the relevant parameters, namely, the temperature T, the molecular weight M, the monomer concentration c and the surface composition x₀. Our analysis reveals a universal character of the composition profile for , where the characteristic size D is some known length depending on the relevant parameters of the problem, and not on temperature, and is the thermal correlation length. Near surface, for (a is the monomer size), the profile is no longer universal, and in particular, it is sensitive to the boundary condition. Far from the surface, that is , the profile tends exponentially to its bulk value. We show that the length Dapproaches its lowest value as the surface composition reaches its saturated value l. In this limit, we find that the profile shape is a characteristic of critical adsorption in simple binary fluid mixtures. Finally, this work must be regarded as a natural extension of a previous one, which was concerned with the same problem, but in the absence of solvent. Received 24 June 1999 and Received in final form 5 November 1999     

Exactly solvable models through the generalized empty interval method,for multi-species interactions

Multi-species reaction-diffusion systems, with nearest-neighbor interaction on a one-dimensional lattice are considered. Necessary and sufficient constraints on the interaction rates are obtained, that guarantee the closedness of the time evolution equation for E _n(t)'s, the expectation value of the product of certain linear combination of the number operators on n consecutive sites at time t. The constraints are solved for the single-species left-right-symmetric systems. Also, examples of multi-species system for which the evolution equations of E _n(t)'s are closed, are given. Received 25 September 2002 / Received in final form 3 December 2002 Published online 14 February 2003 RID="a" ID="a"e-mail: mamwad@iasbs.ac.ir     

Internal mode dynamics in driven nonlinear Klein-Gordon systems

We study analytically and numerically the action of a constant force on the propagation of kinks in the φ⁴ and sine-Gordon systems, with and without dissipation. We specifically investigate the relation of the external force with the oscillations of the kink width due to excitation of its internal mode or quasimode. We demonstrate that both dc force and dissipation, either jointly or separately, damp the oscillations of the kink width. We further prove that, in contrast to earlier predictions, those oscillations can only arise if we use a distorted kink as initial condition for the evolution. Finally, we show that for the φ⁴ system the oscillations of the kink width come from the excitation of its internal mode, whereas in the sG equation they originate in the excitation of the lowest radiational modes and an internal mode induced by the discreteness of the numerical simulations. Received 6 June 2000     

A kinetic approach to some quasi-linear laws of macroeconomics

Some previous works have presented the data on wealth and income distributions in developed countries and have found that the great majority of population is described by an exponential distribution, which results in idea that the kinetic approach could be adequate to describe this empirical evidence. The aim of our paper is to extend this framework by developing a systematic kinetic approach of the socio-economic systems and to explain how linear laws, modelling correlations between macroeconomic variables, may arise in this context. Firstly we construct the Boltzmann kinetic equation for an idealised system composed by many individuals (workers, officers, business men, etc.), each of them getting a certain income and spending money for their needs. To each individual a certain time variable amount of money is associated - this meaning him/her phase space coordinate. In this way the exponential distribution of money in a closed economy is explicitly found. The extension of this result, including states near the equilibrium, give us the possibility to take into account the regular increase of the total amount of money, according to the modern economic theories. The Kubo-Green-Onsager linear response theory leads us to a set of linear equations between some macroeconomic variables. Finally, the validity of such laws is discussed in relation with the time reversal symmetry and is tested empirically using some macroeconomic time series. Received 25 February 2002 / Received in final form 11 July 2002 Published online 19 November 2002     

Noisy covariance matrices and portfolio optimization

According to recent findings [#!bouchaud!#,#!stanley!#], empirical covariance matrices deduced from financial return series contain such a high amount of noise that, apart from a few large eigenvalues and the corresponding eigenvectors, their structure can essentially be regarded as random. In [#!bouchaud!#], e.g., it is reported that about 94% of the spectrum of these matrices can be fitted by that of a random matrix drawn from an appropriately chosen ensemble. In view of the fundamental role of covariance matrices in the theory of portfolio optimization as well as in industry-wide risk management practices, we analyze the possible implications of this effect. Simulation experiments with matrices having a structure such as described in [#!bouchaud!#,#!stanley!#] lead us to the conclusion that in the context of the classical portfolio problem (minimizing the portfolio variance under linear constraints) noise has relatively little effect. To leading order the solutions are determined by the stable, large eigenvalues, and the displacement of the solution (measured in variance) due to noise is rather small: depending on the size of the portfolio and on the length of the time series, it is of the order of 5 to 15%. The picture is completely different, however, if we attempt to minimize the variance under non-linear constraints, like those that arise e.g. in the problem of margin accounts or in international capital adequacy regulation. In these problems the presence of noise leads to a serious instability and a high degree of degeneracy of the solutions. Received 31 December 2001     

Final-state interaction in semi-inclusive DIS off nuclei

The Final-State Interaction (FSI) in Deep-Inelastic Scattering (DIS) of leptons off a nucleus A, due to the propagation of the struck nucleon debris and its hadronization in the nuclear environment is considered. The effective cross-section of such a partonic system with the nucleons of the medium and its time dependence are estimated, for different values of the Bjorken scaling variable, on the basis of a model which takes into account both the production of hadrons due to the breaking of the color string, which is formed after a quark is knocked out off a bound nucleon, as well as the production of hadrons originating from gluon radiation. It is shown that the interaction, the evolution and the hadronization of the partonic system in the nuclear environment can be thoroughly investigated by a new type of semi-inclusive process, denoted A(e, e'(A - 1))X, in which the scattered lepton is detected in coincidence with a heavy nuclear fragment, namely a nucleus (A - 1) in low energy and momentum states. As a matter of fact, if the FSI is disregarded, the momentum distribution of (A - 1) is directly related to the momentum distribution of the nucleon before γ^* absorption, i.e. the same quantity which appears in the conventional A(e, e'N)X process, where N denotes a nucleon. The rescattering of the struck nucleon debris with the medium damps and distorts the momentum distributions of (A - 1) in a way which is very sensitive to the details of the effective cross-section of the debris with the nucleons of the medium. The total cross-section of the process A(e, e'(A - 1))X on ⁴He, ¹⁶O, and ⁴⁰Ca, related to the probability that after a target nucleon experiences a DIS process, the recoiling (A - 1) nucleus remains intact in spite of the strong FSI, is evaluated, and the distorted momentum distribution of the recoiling (A - 1) system is obtained. It is shown that both quantities are very sensitive to the details of the early stage of hadronization of the nucleon debris in the nuclear medium. Received: 28 June 2002 / Accepted: 15 January 2003 / Published online: 5 May 2003     

On N-wave type systems and their gauge equivalent

The class of nonlinear evolution equations (NLEE) - gauge equivalent to the N-wave equations related to the simple Lie algebra are derived and analyzed. They are written in terms of (x, t) ∈ satisfying r = rank nonlinear constraints. The corresponding Lax pairs and the time evolution of the scattering data are found. The Zakharov-Shabat dressing method is appropriately modified to construct their soliton solutions. Received 20 October 2001 / Received in final form 30 April 2002 Published online 2 October 2002 RID="a" ID="a"e-mail: gerjikov@inrne.bas.bg     

High frequency sound and the boson peak in amorphous silica

We present the results of extensive molecular dynamics computer simulations in which the high frequency dynamics of silica, i.e. for frequencies ν > 0.5 THz, is investigated in the viscous liquid state as well as in the glass state. We characterize the properties of high frequency sound modes by analyzing J _l(q,ν) and J _t(q,ν), the longitudinal and transverse current correlation function, respectively. For wave-vectors q > 0.4 ?^-1 the spectra are sitting on top of a flat background. The dynamic structure factor S(q,ν) exhibits for q > 0.23 ?^-1 a boson peak which is located nearly independent of q around 1.7 THz and for which the intensity scales approximately linearly with temperature. We show that the low frequency part of the boson peak is mainly due to the elastic scattering of transverse acoustic modes with frequencies around 1 THz. The strength of this scattering depends on q and is largest around q = 1.7 ?^-1, the location of the first sharp diffraction peak in the static structure factor. By studying S(q,ν) for different system sizes we show that strong finite size effects are present in the low frequency part of the boson peak in that for small systems part of its intensity is missing. We discuss the consequences of these finite size effects for the structural relaxation. Received 27 June 2000 and Received in final form 9 January 2001     

Order-parameter fluctuations (OPF) in spin glasses: Monte Carlo simulations and exact results for small sizes

The use of parameters measuring order-parameter fluctuations (OPF) has been encouraged by the recent results reported in referenece [2,3] which show that two of these parameters, G and G _c, take universal values in the . In this paper we present a detailed study of parameters measuring OPF for two mean-field models with and without time-reversal symmetry which exhibit different patterns of replica symmetry breaking below the transition: the Sherrington-Kirkpatrick model with and without a field and the Ising p-spin glass (p = 3). We give numerical results and analyze the consequences which replica equivalence imposes on these models in the infinite volume limit. We give evidence for the transition in each system and discuss the character of finite-size effects. Furthermore, a comparative study between this new family of parameters and the usual Binder cumulant analysis shows what kind of new information can be extracted from the finite T behavior of these quantities. The two main outcomes of this work are: 1) Parameters measuring OPF give better estimates than the Binder cumulant for T _c and even for very small systems they give evidence for the transition. 2) For systems with no time-reversal symmetry, parameters defined in terms of connected quantities are the proper ones to look at. Received 20 September 2000 and Received in final form 10 January 2001     

Failure time and critical behaviour of fracture precursors in heterogeneous materials

The acoustic emission of fracture precursors, and the failure time of samples of heterogeneous materials (wood, fiberglass) are studied as a function of the load features and geometry. It is shown that in these materials the failure time is predicted with a good accuracy by a model of microcrack nucleation proposed by Pomeau. We find that the time interval δt between events (precursors) and the energy ɛ are power law distributed and that the exponents of these power laws depend on the load history and on the material. In contrast, the cumulated acoustic energy E presents a critical divergency near the breaking time τ which is E∼ . The positive exponent γ is independent, within error bars, on all the experimental parameters. Received 31 July 2001 and Received in final form 17 December 2001     

Front propagation in chaotic and noisy reaction-diffusion systems: a discrete-time map approach

We study the front propagation in reaction-diffusion systems whose reaction dynamics exhibits an unstable fixed point and chaotic or noisy behaviour. We have examined the influence of chaos and noise on the front propagation speed and on the wandering of the front around its average position. Assuming that the reaction term acts periodically in an impulsive way, the dynamical evolution of the system can be written as the convolution between a spatial propagator and a discrete-time map acting locally. This approach allows us to perform accurate numerical analysis. They reveal that in the pulled regime the front speed is basically determined by the shape of the map around the unstable fixed point, while its chaotic or noisy features play a marginal role. In contrast, in the pushed regime the presence of chaos or noise is more relevant. In particular the front speed decreases when the degree of chaoticity is increased, but it is not straightforward to derive a direct connection between the chaotic properties (e.g. the Lyapunov exponent) and the behaviour of the front. As for the fluctuations of the front position, we observe for the noisy maps that the associated mean square displacement grows in time as t ^1/2 in the pushed case and as t ^1/4 in the pulled one, in agreement with recent findings obtained for continuous models with multiplicative noise. Moreover we show that the same quantity saturates when a chaotic deterministic dynamics is considered for both pushed and pulled regimes. Received 17 July 2001     

Subleading long-range interactions and violations of finite size scaling

We study the behavior of systems in which the interaction contains a long-range component that does not dominate the critical behavior. Such a component is exemplified by the van der Waals force between molecules in a simple liquid-vapor system. In the context of the mean spherical model with periodic boundary conditions we are able to identify, for temperatures close above T _c, finite-size contributions due to the subleading term in the interaction that are dominant in this region decaying algebraically as a function of L. This mechanism goes beyond the standard formulation of the finite-size scaling but is to be expected in real physical systems. We also discuss other ways in which critical point behavior is modified that are of relevance for analysis of Monte Carlo simulations of such systems. Received 21 November 2000 and Received in final form 28 February 2001     

Renormalization group treatment of the scaling properties of finite systems with subleading long-range interaction

The finite size behavior of the susceptibility, Binder cumulant and some even moments of the magnetization of a fully finite O(n) cubic system of size L are analyzed and the corresponding scaling functions are derived within a field-theoretic ɛ-expansion scheme under periodic boundary conditions. We suppose a van der Waals type long-range interaction falling apart with the distance r as r ^{- (d + σ)}, where 2 < σ < 4, which does not change the short-range critical exponents of the system. Despite that the system belongs to the short-range universality class it is shown that above the bulk critical temperature T _c the finite-size corrections decay in a power-in-L, and not in an exponential-in-L law, which is normally believed to be a characteristic feature for such systems. Received 8 August 2001